-
作者：Zhong, Ping-Shou; Lan, Wei; Song, Peter X. K.; Tsai, Chih-Ling
作者单位：Michigan State University; University of Michigan System; University of Michigan; University of California System; University of California Davis
摘要：In regression analysis with repeated measurements, such as longitudinal data and panel data, structured covariance matrices characterized by a small number of parameters have been widely used and play an important role in parameter estimation and statistical inference. To assess the adequacy of a specified covariance structure, one often adopts the classical likelihood-ratio test when the dimension of the repeated measurements (p) is smaller than the sample size (n). However, this assessment b...
-
作者：Fallat, Shaun; Lauritzen, Steffen; Sadeghi, Kayvan; Uhler, Caroline; Wermuth, Nanny; Zwiernik, Piotr
作者单位：University of Regina; University of Copenhagen; University of Cambridge; Massachusetts Institute of Technology (MIT); Institute of Science & Technology - Austria; Chalmers University of Technology; Johannes Gutenberg University of Mainz; Pompeu Fabra University
摘要：We discuss properties of distributions that are multivariate totally positive of order two (MTP2) related to conditional independence. In particular, we show that any independence model generated by an MTP2 distribution is a compositional semi-graphoid which is upward-stable and singletontransitive. In addition, we prove that any MTP2 distribution satisfying an appropriate support condition is faithful to its concentration graph. Finally, we analyze factorization properties of MTP2 distributio...
-
作者：Lee, Young K.; Mammen, Enno; Nielsen, Jens P.; Park, Byeong U.
作者单位：Kangwon National University; Ruprecht Karls University Heidelberg; City St Georges, University of London; Seoul National University (SNU)
摘要：In this paper, we consider a new structural model for in-sample density forecasting. In-sample density forecasting is to estimate a structured density on a region where data are observed and then reuse the estimated structured density on some region where data are not observed. Our structural assumption is that the density is a product of one-dimensional functions with one function sitting on the scale of a transformed space of observations. The transformation involves another unknown one-dime...
-
作者：Todorov, Viktor
作者单位：Northwestern University
摘要：In this paper, we propose a test for deciding whether the jump activity index of a discretely observed It semimartingale of pure-jump type (i.e., one without a diffusion) varies over a fixed interval of time. The asymptotic setting is based on observations within a fixed time interval with mesh of the observation grid shrinking to zero. The test is derived for semimartingales whose spot jump compensator around zero is like that of a stable process, but importantly the stability index can vary...
